I could nominate a whole bunch of enemies here...
But I'm going to go with two from X-COM: UFO Defense (UFO: Enemy Unknown, if you prefer).
First off, Sectoid Leaders and Commanders. If any aliens see one of your troops, the sectoid leader/commander can see all your agents. Forever. It will then make several attempts per turn to mind control, berserk or panic them. This ends hilariously poorly.
Second, anything with a blaster bomb launcher. A blaster bomb is a nuke the size of a US football, which follows a path of up to nine waypoints, including into areas the enemy can't see (again, obvious issues combined with the seeing-everything ability of sectoid leaders and commanders), with pinpoint accuracy. Then everything explodes forever. Short of a miracle, no agent or tank can survive a blaster bomb. In fact, the surrounding landscape often doesn't survive - it'll be shattered, smoking and very much on fire.
Third? Ethereals. Imagine sectoids commanders. Done? Good. Now increase its firing accuracy, speed and reactions by a whole lot, make it almost as tough as a tank (often tougher, in my experience) and capable of flight. Also, they're all psychic, and far better at it than any sectoid can possibly hope to be.
Ethereal and Sectoid commanders are almost always equipped with blaster bomb launchers. When this happens? Weep and pray for death.